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Are Low Risk Strategies Here to Stay? Panel at Deutsche Bank’s Global Quantitative Conference
The Deutsche Bank’s Global Quantitative Strategy Conference will feature presentations from leading academics who will discuss their latest research work on the topic of quantitative investing.The focus will be on practical, cutting-edge research that can be applied to real-world investment management. Chris Guthrie will be featured on the panel “Are Low Risk Strategies Here to Stay?” on November 16, 2012.
Deutsche Bank’s Global Quantitative Strategy Conference
Deutsche Bank U.S. Headquarters
60 Wall Street, Auditorium & 47th Floor
New York, NY 10005
Chris Guthrie, President and CIO of Hillsdale Investment Management Inc.
Matthew Rothman, Head of Quantitative Global Macro Research, Acadian Asset Management
Ross Garon, Managing Director, Quantitative Strategies, SAC Capital
Sven Thiessen, Head of Quantitative Equity Products, Deka Investment (Germany)
###Panel: Are Low Risk Strategies Here to Stay?
1. Investors are showing greater interest in these strategies and many asset managers are now entertaining the idea of creating low-volatility equity products. Are these the new 130/30’s?
2. What extent do you think low volatility strategies are just capturing risk premium from more conventional sources of equity risk such as the value or quality?
3. Do you believe that low volatility equity strategies will outperform traditional active equity strategies going forward?
###Panel Discussion Summary:
1. All the panel participants argued that low-risk strategies would continue to see demand even in the case of a long lasting growth regime. They argued that the inefficiencies driving the superior risk-adjusted performance of these strategies (mainly: investor risk aversion and benchmarks as limits to arbitrage) were not going away anytime soon.
2. There was also little disagreement on the question of whether low-risk strategies where only capturing existing risk premium such as value or quality. The answer across the panelist was that there may be a certain overlap, but there was definitely something unique to low risk strategies relative to other traditional equity attributes.
3. The one topic in which there were slight differences between the panelist was with respect to implementation of the strategy using an alpha overlay. Matthew Rothman (Acadian) and Ross Garon (SAC) believe that alpha overlays could add value to low-risk strategies (Ross thinks of low-risk as just another alpha signal), while Chris Guthrie (from Hillsdale) and Sven Thiessen (from Deka) argued that the addition of alpha sources had the potential to contaminate the strategies.
For more information, please visit the registration page.